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Portfolio advice before modern portfolio theory : the Belle Époque for french analyst Alfred Neymarck

Author

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  • Maxime Merli

    (UNISTRA - Université de Strasbourg)

  • Antoine Parent

    (OFCE - Observatoire français des conjonctures économiques (Sciences Po) - Sciences Po - Sciences Po, LAET - Laboratoire Aménagement Économie Transports - UL2 - Université Lumière - Lyon 2 - ENTPE - École Nationale des Travaux Publics de l'État - CNRS - Centre National de la Recherche Scientifique)

  • Cécile Edlinger

    (BETA - Bureau d'Économie Théorique et Appliquée - AgroParisTech - UNISTRA - Université de Strasbourg - Université de Haute-Alsace (UHA) - Université de Haute-Alsace (UHA) Mulhouse - Colmar - UL - Université de Lorraine - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement)

Abstract

In this article, we propose an original analysis of advice given by financial analysts prior to WW1. Our article focuses on the writings of A. Neymarck, one of the most popular French analysts in the early 20th Century. The creation of portfolios from a new database composed of the monthly returns of all the security types listed on the official Paris Stock Exchange from 1903 to 1912 has provided results demonstrating that Neymarck correctly identified the risk in a number of sectors. The performances of these portfolios, which were built according to Neymarck's guidelines, confirm Neymarck's ranking in terms of both risk and return: the richer the investor, the riskier and the more profitable his portfolio was seen to be. Finally, the Modern Portfolio Theory enables us to pinpoint the few imperfections in Neymarck's advice, which globally appears to be driven by reliable financial analysis.

Suggested Citation

  • Maxime Merli & Antoine Parent & Cécile Edlinger, 2021. "Portfolio advice before modern portfolio theory : the Belle Époque for french analyst Alfred Neymarck," Post-Print hal-03403339, HAL.
    • Handle: RePEc:hal:journl:hal-03403339
    DOI: 10.1080/00076791.2019.1676231
    Note: View the original document on HAL open archive server: https://sciencespo.hal.science/hal-03403339
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    1. David Le Bris & Pierre-Cyrille Hautcoeur, 2010. "A challenge to triumphant optimists? A new blue chips Index for the Paris stock-exchange (1854-2007)," Post-Print halshs-00754455, HAL.
    2. Parent, Antoine & Rault, Christophe, 2004. "The Influences Affecting French Assets Abroad Prior to 1914," The Journal of Economic History, Cambridge University Press, vol. 64(2), pages 328-362, June.
    3. David Le Bris & Pierre-Cyrille Hautcoeur, 2009. "A challenge to triumphant optimists? A blue chips index for the Paris Stock-Exchange (1854-2007)," PSE Working Papers halshs-00586765, HAL.
    4. Janette Rutterford & Dimitris P. Sotiropoulos, 2016. "Financial diversification before modern portfolio theory: UK financial advice documents in the late nineteenth and the beginning of the twentieth century," The European Journal of the History of Economic Thought, Taylor & Francis Journals, vol. 23(6), pages 919-945, November.
    5. William N. Goetzmann & Andrey D. Ukhov, 2006. "British Investment Overseas 1870-1913: A Modern Portfolio Theory Approach," Review of Finance, European Finance Association, vol. 10(2), pages 261-300.
    6. Le Bris, David & Hautcœur, Pierre-Cyrille, 2010. "A challenge to triumphant optimists? A blue chips index for the Paris stock exchange, 1854–2007," Financial History Review, Cambridge University Press, vol. 17(2), pages 141-183, October.
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    Keywords

    Portfolio advice; Diversification before WW1; Financial markets prior WW1;
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